Information criterion for Gaussian change-point model

DOI10.1016/j.spl.2004.10.037zbMath1075.62003OpenAlexW1974223363MaRDI QIDQ1779681

Yoshiyuki Ninomiya

Publication date: 1 June 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.037

zbMATH Keywords

Brownian motion with driftAkaike's information criterionMaximum of random walkNumber of change-points

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Inference from stochastic processes (62M99) Statistical aspects of information-theoretic topics (62B10)

Related Items (15)

Application of modified information criterion to multiple change point problems ⋮ Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares ⋮ On empirical likelihood inference of a change-point ⋮ Developing a new BIC for detecting change-points ⋮ Consistent model selection in segmented line regression ⋮ Unnamed Item ⋮ A change-point problem and inference for segment signals ⋮ Segmentation of circular data ⋮ Change-point model selection via AIC ⋮ Change-point detection in a shape-restricted regression model ⋮ Non-monotonic penalizing for the number of structural breaks ⋮ Statistical Method for Detecting Structural Change in the Growth Process ⋮ Model selection criteria in multivariate models with multiple structural changes ⋮ Interventions in log-linear Poisson autoregression ⋮ The asymptotic behaviour of the residual sum of squares in models with multiple break points

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